Trading Hours Extension - Extended Hours Extended Opportunities March 2021 - Eurex
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Trading Hours
Extension
Extended Hours Extended
Opportunities
March 2021
1
Key Facts
Eurex extended its trading hours on 10th December 2018 to provide
coverage during the Asian time zone.
Products in Phase I: Selected benchmark Futures and 136 MSCI
Index Futures
Market opening is at 08: 00 am SGT; End of trading & clearing day
unchanged
TES entry service (Block-, EFP-, EFS trades) available from 08:15
am SGT
Open GTC/GTD orders in THX relevant Futures can be executed in
Asian Hours
Additional offerings were introduced on 7 th December 2020 as part
of Eurex's effort to provide price transparency and liquidity on highly
sought-after products during the Asian hours
Extended trading hours always commence at 08:00 am
Singapore, Hong Kong and China Standard Time: UTC +8h Products in Phase II: 10-year Euro-OAT, EURO STOXX ® Banks,
STOXX ® Europe 600, and VSTOXX ® Futures
*Singapore time during Central European Summer Time. Time difference: SGT/CET + 7h; SGT/CEST: +6h
**To optimize overnight processing, as of 25th February 2019, the post-trading phase is reduced from 30 mins to 10 min (22:00 CET to 22:10 CET).
The clearing services are not impacted and w ill continue to be available until 22:30 CET.
March 2021
Products Overview
All products listed are available for trading from 2:15AM CEST – 10:00PM CEST
Phase 1 Phase 2-1 Phase 2-2
(Launched 10th December 2018) (Launched 7th December 2020) (To launch 19th April 2021)
Equity Index Derivatives Equity Index Derivatives Equity Index Derivatives
▪ EURO STOXX 50® Futures (FESX) ▪ EURO STOXX® Banks Futures ▪ Micro-EURO STOXX® 50 Futures
▪ DAX® Futures (FDAX) (FESB) (FSXE)
▪ Mini-DAX® Futures (FDXM) ▪ STOXX® Europe 600 Index Futures ▪ Micro-DAX® Futures (FDXS)
▪ All MSCI Futures (136 products) (FXXP)
Interest Rates Derivatives Volatility Derivatives
▪ Euro-Bund Futures (FGBL) ▪ VSTOXX® Futures (FVS)
▪ Euro-Bobl Futures (FGBM)
▪ Euro-Schatz Futures (FGBS) Interest Rates Derivatives
▪ Euro-Buxl® Futures (FGBX) ▪ Euro-OAT Futures (FOAT)*
*Euro-OAT Futures trading hour is extended to both Asian hours (02:15 CEST – 08:00 CEST) and US hours (19:00 CEST – 22:00 CEST)
March 2021
Development of the Trading Hours (1/2)
Eurex Trading Hours Extension offers attractive spreads and liquidity in European Benchmark
products during the extended hours.
Extended Hours
Eurex offers attractive spreads Volume March
Extended Hours
ADV March 2021
Notional Volume
in USD million
% Off-book % Agency
% Extended Hours
March 2021
2021 YTD Volume 2021 ADV
% Extended
Hours 2021
2021
during Asian Hours: Phase 1 Benchmark Products
EURO STOXX 50 534,386 23,234 23,776 0.0% 37.7% 1.8% 1,192,291 18,925 1.9%
DAX 48,163 2,094 20,537 0.0% 29.7% 2.8% 108,603 1,724 2.7%
Product Asian Core Mini-DAX 17,442 758 1,486 0.0% 31.5% 1.4% 50,698 805 1.6%
Euro-Bund 279,151 12,137 56,534 0.0% 36.8% 1.3% 696,868 11,061 1.2%
Hours Hours Euro-Bobl 128,560 5,590 20,411 0.0% 29.4% 0.9% 272,755 4,329 0.8%
Euro-Schatz 54,135 2,354 7,142 0.0% 42.2% 0.5% 144,497 2,294 0.6%
EURO STOXX 50 ® 1 tick 1 tick Euro-Buxl 14,442 628 3,530 0.0% 23.9% 0.6% 35,827 569 0.5%
DAX® 3 ticks 2 ticks MSCI (Asian) Futures 421,698 18,335 25,549 98.7%
Phase 1 MSCI Products
98.1% 41.2% 718,964 11,412 39.5%
Mini-DAX® 5 ticks 2 ticks MSCI EM Asia
MSCI Japan
59,631
51,731
2,593
2,249
4,648
4,097
96.7%
99.6%
96.9%
99.2%
18.4%
35.2%
228,157
74,895
3,622
1,189
32.0%
34.1%
Euro-Bund 1 tick 1 tick MSCI China 61,115 2,657 3,697 94.8% 95.6% 59.2% 84,391 1,340 54.7%
MSCI Australia 14,132 614 669 99.9% 99.9% 62.0% 25,678 408 25.5%
Euro-Bobl 1 tick 1 tick MSCI (Non-Asian) Futures 9,019 392 591 22.5% 64.0% 2.0% 16,457 261 0.6%
Phase 2 Benchmark Products
Euro-Schatz 1 tick 1 tick VSTOXX 1,926 84 5 0.0% 63.6% 0.1% 6,769 107 0.2%
EURO STOXX Banks 11,944 519 61 0.0% 50.8% 0.1% 19,311 307 0.1%
Euro-Buxl® 3 ticks 2 ticks STOXX Europe 600 1,228 53 30 0.0% 48.4% 0.2% 2,165 34 0.04%
Euro-OAT (Asia Hours) 29,569 1,286 5,658 0.0% 38.4% 0.5% 68,834 1,093 0.5%
Euro-OAT (US Hours) 39,514 1,718 7,562 0.0% 42.5% 0.7% 88,668 1,407 0.6%
Total 1,777,786 77,295 185,983 23.5% 47.4% 1.7% 3,835,828 60,886 1.5%
Data updated on 31st March 2021
March 2021Development of the Trading Hours (2/2)
Eurex Trading Hours Extension has developed steadily over the years since inception, with strong
monthly and quarterly volume growth.
Q1 2021 maintained the trading volume from Q4 2020. A huge
boost in trading activity in interest rate futures observed given
the current increasing yield situation, with a growth of +33% QoQ.
Data updated on 31st March 2021
March 2021Distribution of Activities
Accumulated Hourly Traded Volumes show a healthy distribution of activity during the extended
hours.
Total volume during 3,835,828 contracts traded in
Extended trading hours 2021 YTD
(Single counted)
Trading participation- 47% on A-accounts
Account Roles 2021 YTM (Agency)
53% on P-accounts (Principal)
and M-accounts (Market Making)
Total number of active 214 (accumulated)
Eurex members 2021
Over 260 direct members have contributed to the liquidity
during Asian hours with 40% flow from end clients
(Agency-Account) in 2020
Monthly Data from: 1st March 2021 – 31st March 2021
March 2021Benchmark Index Futures (1/2)
Average Daily Volume (ADV) development shows opportunities during the Asian time zone.
18,925 contracts on EURO STOXX 50® Index DAX® Index Futures
Average daily Futures
volume 1,724 contracts on DAX® Index Futures
(2021)
805 contracts on Mini-DAX® Index Futures
Good improvements shown in monthly ADV of Equity Index
Futures during THX since launch.
EURO STOXX 50® Index Futures Mini-DAX® Index Futures
Monthly Average Daily Volume (LHS) % of Whole Day Volume (RHS) Data updated on 31st March 2021
March 2021Benchmark Index Futures (2/2)
Average Daily Volume (ADV) development shows opportunities during the Asian time zone.
307 contracts on EURO STOXX ® Banks Index VSTOXX® Futures
Average daily Futures
volume 34 contracts on STOXX® Europe 600 Index
(2021) Futures
107 contracts on VSTOXX® Index Futures
Good development in VSTOXX® and EURO STOXX® Banks Index
future, with over 100 lots traded daily on average.
EURO STOXX® Banks Index Futures STOXX® Europe 600 Index Futures
Monthly Average Daily Volume (LHS) % of Whole Day Volume (RHS) Data updated on 31st March 2021
March 2021Benchmark Interest Rate Futures (1/2)
Average Daily Volume (ADV) development shows opportunities during the Asian time zone.
11,061 contracts on Euro-Bund Futures Euro-Bund Futures
Average daily
volume 4,329 contracts on Euro-Bobl Futures
(2021) 2,294 contracts on Euro-Schatz Futures
Good improvements shown in monthly ADV of Interest Rate
Futures during THX since launch.
Euro-Bobl Futures Euro-Schatz Futures
Monthly Average Daily Volume (LHS) % of Whole Day Volume (RHS) Data updated on 31st March 2021
March 2021Benchmark Interest Rate Futures (2/2)
Average Daily Volume (ADV) development shows opportunities during the Asian time zone.
569 contracts on Euro-Buxl® Futures Euro-Buxl® Futures
Average daily
volume 1,093 contracts on Euro-OAT Futures (Asian hours)
(2021) 1,407 contracts on Euro-OAT Futures (US hours)
Euro-OAT Futures gained good traction during Asian and US
Trading Hours, activity shows strong client demand.
Euro-OAT Futures (Asian Hours) Euro-OAT Futures (US Hours)
Monthly Average Daily Volume (LHS) % of Whole Day Volume (RHS) Data updated on 31st March 2021
March 2021Liquidity Snapshot (1/4)
EURO STOXX® 50 Index Futures
Top-of-book Spread (ticks)
Top-of-book Depth
Data source: Deutsche Boerse A7 Analytics Platform. Date sampled: 15th March 2021. Time zone: UTC +01:00
March 2021Liquidity Snapshot (2/4)
DAX® Index Futures
Top-of-book Spread (ticks)
Top-of-book Depth
Data source: Deutsche Boerse A7 Analytics Platform. Date sampled: 15th March 2021. Time zone: UTC +01:00
March 2021Liquidity Snapshot (3/4)
Euro-Bund Futures
Top-of-book Spread (percent – minimum price change = 0.01%)
Top-of-book Depth
Data source: Deutsche Boerse A7 Analytics Platform. Date sampled: 15th March 2021. Time zone: UTC +01:00
March 2021Liquidity Snapshot (4/4)
Euro-OAT Futures
Top-of-book Spread (percent – minimum price change = 0.01%)
Top-of-book Depth
Data source: Deutsche Boerse A7 Analytics Platform. Date sampled: 15th March 2021. Time zone: UTC +01:00
March 2021Appendix
March 2021Major Design Elements – Trading
▪ FESX (EURO STOXX 50 ® Index Futures)
▪ FDAX (DAX® Index Futures)
▪ FDXM (Mini DAX ® Index Futures)
Equity Index
▪ FESB (EURO STOXX® Banks Index Futures)
Futures
▪ FXXP (STOXX® Europe 600 Index Futures)
▪ FVS (VSTOXX® Index Futures)
▪ 136 Eurex MSCI Index Futures
▪ FGBL (Euro-Bund Futures)
▪ FGBM (Euro-Bobl Futures)
Interest Rate
▪ FGBS (Euro Schatz Futures)
Futures
▪ FGBX (Euro Buxl Futures)
▪ FOAT (Euro-OAT Futures)
March 2021Product Scope for Eurex Asian Trading Hours
▪ All trading functionalities available including T7 Trade Entry Service (TES)
General ▪ Full re-use of existing Eurex membership, technical infrastructure, login data and trader IDs
▪ Risk Protection for Liquidity Providers (LP): the Eurex system provides LPs with various features for system-based
risk protection which can help LPs can significantly constrain operational and market risks, preventing too many
simultaneous trade executions on quotes provided by any LP
▪ Volatility Interruption: the risk that markets decline in large price drops is not only a result of market orders but also
Market
limit orders. To guard against that, in its benchmark products, the Eurex system validates every single trade against
Integrity
price bands within given time frames. If the system concludes that price determination lies outside the price bands,
it automatically stops regular order book trading
▪ Market Supervision: on-going level of support during trading hours, using various parameters and triggers to monitor
abnormalities in the order book activity and ensure there is a fair and orderly market
▪ Liquidity Provision programs available for the Asian time zone, combined with attractive incentive schemes for
Liquidity qualifying Liquidity Providers (more information on LP schemes upon request)
Provision ▪ Continuous quotes during Asian trading hours will be provided by our partnering Liquidity Providers
March 2021Major Design Elements – Clearing & Risk
▪ Clearing and risk functionalities available during Asian trading hours
▪ Full re-use of existing Eurex Clearing membership, technical infrastructure, login data and Member ID
▪ Intraday Risk Management; Intra-night Margin calls to be fulfilled during Asian trading hours
General ▪ Staff must be reachable during Asian trading hours
▪ Post-trade functionalities expected to be available for select benchmark products during Asian hours
▪ Risk functionalities (portfolio-based margining methodology) to be applied during the Asian trading and clearing
hours for active products
▪ Advanced Risk Protection handling (level 1: alert, level 2: slow down, level 3: halt) based on PRISMA calculations
available during Asian trading and clearing hours
Risk ▪ No changes to default management process
Management ▪ Same Intraday risk reports as of today (e.g. CI042, CI050, CI060) offered during the Asian hours to members on
Common Report Engine (CRE)
▪ Real time risk monitoring and consistent margin call procedures during Asian trading hours
▪ Margin calls to be fulfilled in AUD or via existing USD payment infrastructure during Asian hours
March 2021Major Design Elements – Clearing & Risk
▪ Existing margin call procedures for activities during the standard trading session will remain unchanged
▪ Overnight margin calls are auto debited the following morning by 8am CET (EUR) / 9am CET (CHF/GBP)
▪ Regular intraday margin calls may be issued between 8am CET and 10pm CET (today’s practice)
Margin Calls ▪ New: Margin calls during Asian trading hours shall only be issued in the case of position changes (i.e. no intra-night
during the margin call solely based on market movements)*
Asian Hours ▪ Calculated overnight shortfalls are “set to zero”, i.e. Eurex Clearing will consider overnight margin calls as fulfilled by
the start of Asian hours, even though the call will only be debited by 8am CET (EUR) / 9am CET (CHF/GBP). Eurex
Clearing will treat all collateral pools flat or over-collateralized for the start of the Asian trading hours*
▪ Eurex Clearing will only issue a margin call during Asian hours, if the intraday margin limit has been exceeded (in
general 10% of the Clearing Member’s overnight margin requirement per pool)*
March 2021Major Design Elements – Clearing & Risk
▪ Clearing Members can pledge additional cash / non-cash collateral with Eurex (i.e. over-collateralization) during
regular hours on the preceding business day to avoid margin calls during Asian hours
Margin Calls: ▪ Clearing Members can define a Permanent Cash Balance (PCB) to establish a cash buffer which is automatically
Mitigating restored on a daily basis
Measures ▪ Clearing Members may actively manage their total margin requirement by entering risk reducing trades
▪ Clearing Members have the possibility to delete their own open orders from the order book prior to Asian hours
market opening to avoid position changes and hence margin calls during the extended session
▪ Available correspondent banks for USD include Citibank N.A., Deutsche Bank Trust, Bank of New York Mellon,
Correspondent JP Morgan Chase Bank N.A., JP Morgan Chase Bank N.A., London, and Bank of America
Banks ▪ Available correspondent banks for AUD: ANZ Banking Group Limited and Westpac Banking Corporation
March 2021Disclaimer
© Eurex 2021
Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG equity options and equity index options pursuant to the terms of the SEC’s July 1, 2013 Class No-Action Relief. A
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corporate entity and is registered under Luxembourg law . Deutsche Boerse Asia Holding Pte. Ltd., Eurex Clearing customers... Lastly, U.S. QIBs and broker-dealers trading on behalf of QIBs may trade certain single-security futures
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ow ners.
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